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i just commented in the linked Q before seeing this question so to reiterate you cant tell any debugger to use source without having debug symbol information with sourceline information included (pdb for windows compilers and dwarf for gcc compilers)
– blabbJul 26 '18 at 20:54

Ah, I think I see. So, I would somehow have to convince Vectorcast, which creates the .EXE to do so and also generate a .PDB? Feel free to post that as an answer, and I will accept it (and, possibly, open another question elsewhere asking how to do so). Thanks
– MawgJul 26 '18 at 21:04

Thanks for that. Vectorcast comes with some MinGW binaries, including gdb, and allows us to invoke the command line version of gdb. But, when I start Ollydbg and load an .exe, I dont see any source :-(
– MawgJul 28 '18 at 7:44

You can try the cv2pdb tool to extract a PDF from a mingw executable with symbols.
– mrexodiaJul 30 '18 at 23:48

I don't see either *.pdb or *.dwarf :-( Maybe I ought to ask a question about that? (not necessarily here)
– MawgJul 31 '18 at 12:44

A program database (.pdb) file, also called a symbol file, maps the identifiers that you create in source code for classes, methods, and other code to the identifiers that are used in the compiled executables of your project. The .pdb file also maps the statements in the source code to the execution instructions in the executables. The debugger uses this information to determine two key pieces of information:

Name of the source file and line number to be displayed in the Visual Studio IDE

Location in the executable to stop at when you set a breakpoint

A symbol file also contains the original location of the source files, and optionally, the location of a source server where the source files can be retrieved from.

@downvoters: If you find this answer lacking or inaccurate (as it appears some people do, seeing the downvotes) please take the time to mention or describe the issues identified. This will help this answerer and future answers be more accurate and useful.
– NirIzrJul 27 '18 at 1:13